Image Texture Node Copy / open / unpack behavior
This happens when you packed your external data into your .blend file. Meaning the textures are stored inside the .blend file.

So when you click this icon, since the pictures are packed, it asks you to do with the packed data.
In your case, you may want to unpack them. If I remember correctly you have the choice between exporting the files into a custom folder, or into the original folders if they still exist, or into subfolders from the .blend file.